00000cam 2200000zi 4500 9.965211 CaOODSP 20260814145657 m o d f cr cn||||||||| 260814e20260702oncd ob f000 0 eng d CaOODSP eng rda CaOODSP FB3-5/2026-23E-PDF Rodriguez Rondon, Gabriel, author. Monte Carlo likelihood-ratio tests for Markov switching models / Gabriel Rodriguez Rondon, Jean-Marie Dufour. [Ottawa] : Bank of Canada = Banque du Canada, July 2, 2026. ©2026 1 online resource (34, A-23 pages) : graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2026-23 Title from cover. Includes bibliographical references (pages 29-34, A-23). "Markov switching models are widely used to capture nonlinearities arising from regime shifts. Most existing tests for the number of regimes focus on one versus two regimes. Even in such simple cases, this type of problem raises issues of non-standard asymptotic distributions, identification failure, and nuisance parameters. We address these difficulties by applying the technique of Monte Carlo tests, which yields both finite-sample and asymptotically valid procedures, without the need to establish an asymptotic distributional theory, nor the existence of an asymptotic distribution"--Abstract. Hidden Markov models. Statistical hypothesis testing. Modèles de Markov cachés. Tests d'hypothèses (Statistique) Bank of Canada, issuing body. Staff working paper (Bank of Canada) 1701-9397 ; 2026-23. (CaOODSP)9.806221 PDF 894 KB https://publications.gc.ca/collections/collection_2026/banque-bank-canada/FB3-5-2026-23-eng.pdf